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how to compute normalized maximum drawdown? #489049
12/28/25 02:12
12/28/25 02:12
Joined: Jan 2023
Posts: 52
Q
qin Offline OP
Junior Member
qin  Offline OP
Junior Member
Q

Joined: Jan 2023
Posts: 52
In the zorro document, I see:
ReturnMean: Mean of all bar returns on investment. The bar return on investment is the equity difference to the previous bar, divided by Capital.
If Capital is not set, the sum of normalized maximum drawdown and maximum margin is used. Only for bars with open positions, and only available at the end.

I wonder how to compute normalized maximum drawdown? any help is appreciated.
another question: how to printout NumMinutes and NumYears.

Re: how to compute normalized maximum drawdown? [Re: qin] #489054
12/29/25 09:37
12/29/25 09:37
Joined: Jul 2000
Posts: 28,083
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jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 28,083
Frankfurt
"Normalized" in that case means adjusted to a 3 years average. In the case of drawdown, it is multiplied with the square root of (3 / test period in years).


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